PhDr. Jiří Kukačka

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Position: Ph.D. Candidate
Field of interest: Financial Econometrics, Behavioral Finance, Quantitative Finance, Computational and Agent-Based Simulations, Heterogeneous Agent Models, Financial Market Crashes
Membership: Center for Doctoral Studies, Internal, Macroeconomics and Econometrics, PhD Candidates

Contact

Office: 602 IES, 247 ÚTIA
Email: jiri [DOT] kukacka [AT] fsv [DOT] cuni [DOT] cz
Phone: +420 602 767 305
Personal web pages: http://www.linkedin.com/in/jirikukacka
Available: upon request via email above, please, usually Fridays at ÚTIA, office 247

More information

Assistant

JEM116 - Applied Econometrics
JEB110 - Econometrics II

PhD study

Tutor: PhDr. Jozef Baruník Ph.D.

Studying from: 2011
PhDr examination: 03/2012
Final exam: 01/2014
Dissertation Proposal defence: 30. 9. 2015 (expected), Dissertation Thesis (Pre-defense version) available here.
Dissertation defence:

Current work:
- Simulated MLE of a financial agent-based herding model by Alfarano et al. (2008)
- Prospect Theory and Inertia in a Heterogeneous Agent Model (working paper completion)
See also my Personal RePEc webpage

Dissertation topic:
Estimation of Financial Agent-Based Models

Disertation abstract:
This thesis proposes innovative computational frameworks for empirical estimation of Financial Agent-Based Models (FABMs) without too much restrictive theoretical assumptions.

First, we develop a two-step estimation methodology for one of the very first FABMs—the stochastic cusp catastrophe model. Our method allows us to apply catastrophe theory to stock market returns with time-varying volatility and to model stock market crashes. The methodology is empirically tested on nearly 27 years of U.S. stock market returns. We find that the U.S. stock market's downturns were more likely to be driven by the endogenous market forces during the first half of the studied period, while during the second half of the period, the exogenous forces seem to be driving the market's instability. The results suggest that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets.

Second, we customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on nonparametric kernel methods by Kristensen & Shin (2012) and elaborate its capability for (FABMs) estimation purposes. To start with, we apply the methodology to the most famous and widely analysed model of Brock & Hommes (1998). We extensively test small sample properties of the estimator via Monte Carlo simulations and show that important theoretical features of the estimator, the consistency and asymptotic efficiency, also hold in small samples for the model. We also verify smoothness of the simulated log-likelihood function and identification of parameters. Main empirical results of our analysis are the statistical insignificancy of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with an absolute superiority of trend-following over contrarian strategies and a slight proportional dominance of fundamentalists over trend following chartists.

Finally, we apply the NPSMLE to a stylised herding FABM developed by Alfarano et.al. (2008). Empirical estimates of parameters governing opinion switching indicate favourable unimodal distribution of the market sentiment variable. Model behaviour is thus characterised by a general tendency to gradually revert back to a balanced sentiment and theoretically expected performance of the estimator. Rolling window estimation reveals interesting model dynamics and clearly captures jumps in the `herding-based' opinion switching parameter and elevated fundamental volatility in turbulent times.

See more, please, in my Individual Study Plan and annual updates at the bottom of this page.

Optional courses:
2015 (June): CEF SCE 2015 Workshops on ABM and Compexity (Taipei)
2015 (May): WEHIA 2015 Doctoral Summer School (Nice)
2014/15 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2014/15 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2014 (September): Agent-Based Modeling teaching course (Leipzig)
2014 (June): WEHIA 2014 PhD Summer School (Beijing)
2013/14 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2013/14 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2013 (July): 4th Summer School of the European Social Simulation Association (Hamburg)
2013 (June): WEHIA 2013 PhD School (Reykjavik)
2012/13 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2012/13 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2012 (June): WEHIA 2012 PhD School (Paris)
2011/12 SS: AAEM - Alternative Approaches to Economic Modeling
2011/12 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications

CV

Organisation Memberships

FINMAP (European Commission Project), DYME – Dynamic Models in Economics (Excellence Project of GAČR), Society for Economic Science with Heterogeneous Interacting Agents, Society for Computational Economics, CFEnetwork

Education

2011+: Ph.D., Economics, Charles University in Prague
2012: PhDr. (M.Phil. equivalent), Economics, Charles University in Prague
2008 - 2011: Mgr. (M.A. equivalent), Economics, Charles University in Prague
2008 - 2009: University of Bath, School of Management, United Kingdom
2005 - 2008: Bc. (B.A. equivalent), Economic Theories, Charles University in Prague

Job history

Academic Staff:
2013+: Member of the Center for Doctoral Studies & Department of Macroeconomics and Econometrics, IES FSV UK

Research Assistant:
2013+: Academy of Sciences of the Czech Republic, Institute of Information Theory and Automation (UTIA), Department of Econometrics

Teaching Assistant IES FSV UK:
2014/15 SS: JEM116 - Applied Econometrics
2014/15 WS: JEB110 - Econometrics II
2013/14 SS: JEM116 - Applied Econometrics
2013/14 WS: JEB110 - Econometrics II
2012/13 SS: JEM116 - Applied Econometrics
2012/13 WS: JEB110 - Econometrics II
2011/12 SS: JEM116 - Applied Econometrics
2011/12 WS: JEB110 - Econometrics II

2009: National Economic Council (NERV), assistant to Professor Ing. Michal Mejstrik, CSc., economic analyses of particular financial topics during the preparation of the National Crisis Packet

Extra activities

2014+: Academic Senator, Pedagogic Chamber, AS FSV UK (member of the Economic and Legislative Committee)
2013+: Member of the Disciplinary Committee FSV UK (alternate)
Refereeing: Emerging Markets Finance and Trade, Czech Journal of Economics and Finance, Prague Economic Papers
2007 - 2012: E-klub IES FSV UK
2009 - 2011: Charles University International Club

Awards and prizes

Best Course Teaching Award (master level) for Applied Econometrics (with doc. Horvath, Dr. Barunik, Dr. Baxa, F. Čech, and M. Rusnák), 2014
Golden Course Faculty Teaching Award (best master level economic course) for Applied Econometrics (with doc. Horvath, Dr. Barunik, and Dr. Baxa), 2012
Dean's Award for an extraordinarily good masters diploma thesis, 2011
RWE Scholarship 2009 - 2011
Dean's Award for an excellent Final State Exam performance and for an extraordinarily good bachelors diploma thesis, 2008

Topics for supervision

Bachelor theses

Students are welcome to contact me via email and consult the supervision of Bachelor theses related to fields of my research interest. Maximum load of supervised theses is around 2 for 2016/17:

- topics on Heterogeneous Agent Modeling (HAM) in Finance, e.g. sensitivity analysis of HAMs, see a video about the HAM topic
- sensitivity analysis (and estimation) of a simple Macro Agent-Based Model (MABM), see a video about the MABM topic
- topics on Agent-Based Modeling (ABM) in Economics and Finance, implementation in NetLogo
- topics on Behavioural Finance (or here), see videos about the BF topic here and here
- topics on Corporate Social Responsibility (CSR) and Creating Shared Value (CSV) - econometric approach, empirical validation, see videos about the CSR topic and CSV topic

Currently (2015/16) supervising 3 bachelor theses at IES FSV UK:
Jiří Teichman: Heterogeneous Agent Model of Housing Market in Ireland
Jaroslav Rosol: Seasonal Effects on Stock Markets in Europe
Kristýna Drmotová: Underreaction of Stock Prices to News

Master theses

Students are welcome to contact me via email and consult the supervision of Master theses related to fields of my research interest. Maximum load of supervised theses is around 2 for 2016/17:

- topics on Heterogeneous Agent Modeling (HAM) in Finance, e.g. sensitivity analysis (and estimation) of HAMs, see a video about the HAM topic
- sensitivity analysis (and estimation) of a more complex Macro Agent-Based Model (MABM), see a video about the MABM topic
- topics on Agent-Based Modeling (ABM) in Economics and Finance, implementation in NetLogo (considered topics of modelling interest: Czech pension reform, Czech university tuition fees reform)

Currently (2015/16) supervising 1 master thesis at IES FSV UK:
Filip Staněk: Properties of the Switching Function in a Heterogeneous Agent-based Financial Market Model: An Empirical Analysis

Supervised Bachelor theses

all/awarded: 3/1
Awarded: Bc. Filip Staněk

Downloadable

Academic CV (July 2015)
How to get Mathematica at IES
Latsis Workshop 2012 poster
Ph.D. documents 2011-2014

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